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Interaction of Islamic and Conventional Stock Markets and the Economic Connectivity

Author

Listed:
  • Harjum MUHARAM

    (Faculty of Economics and Business Universitas Diponegoro Indonesia)

  • Sugeng WAHYUDI

    (Faculty of Economics and Business Universitas Diponegoro Indonesia)

  • Irene PANGESTUTI

    (Faculty of Economics and Business Universitas Diponegoro Indonesia)

  • NAJMUDIN NAJMUDIN

    (Faculty of Economics and Business Universitas Jenderal Soedirman Indonesia)

Abstract

This paper aims to analyze the dynamic interactions of the Islamic and conventional stock markets and the factors contributing to the interaction Asymmetric dynamic conditional correlation ADCC model as a recent technique was applied to identify the interaction and it then acts as a consequence factor in panel data and GARCH p q models regressions The data were taken from four countries which consist of developed and emerging markets and have Islamic stocks indices with sample period from January 2000 to December 2016 The results suggest that the stronger dynamic interaction level for all combination pairs was only found among developed markets and in each market Moreover the stronger weaker interaction level of developed emerging stock markets for both the Islamic and conventional indices reflects the smaller greater inflation rate differential industrial production growth rate differential interest rate differential and exchange rate volatility In addition the widespread market crisis affects on interaction level of all stock market pairs

Suggested Citation

  • Harjum MUHARAM & Sugeng WAHYUDI & Irene PANGESTUTI & NAJMUDIN NAJMUDIN, 2018. "Interaction of Islamic and Conventional Stock Markets and the Economic Connectivity," Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 9(2), pages 591-602.
    • Handle: RePEc:srs:jarle0:v:9:y:2018:i:2:p:591-602
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    Cited by:

    1. Delle Foglie, Andrea & Panetta, Ida Claudia, 2020. "Islamic stock market versus conventional: Are islamic investing a ‘Safe Haven’ for investors? A systematic literature review," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).

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